APD Options History — March 2016

In March 2016, APD traded between $123.87 and $134.40. ATM implied volatility averaged 22.3%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.1% (HV 20d: 18.2%). Max pain ranged from $115.63 to $124.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2016-03-10: Highest Volume — 12,996 contracts
  • 2016-03-28: Largest IV spike — 11.2% change
  • 2016-03-15: Highest IV Rank — 40.4%
  • 2016-03-15: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.07$123.87$134.40$124.32$133.43
Max Pain$122.99$115.63$124.88$115.63$124.88
ATM IV22.3%20.0%25.1%23.1%21.2%
Expected Move6.4%5.7%7.2%6.6%6.1%
HV 20d18.2%12.3%25.5%25.5%17.2%
HV 60d26.8%26.0%28.1%28.1%26.5%
IV Rank29.8%20.8%40.4%33.2%25.5%
IV Percentile31.9%17.5%61.1%38.1%21.8%
Term Structure2.0%-0.7%3.7%-0.7%3.0%
VWIV23.4%20.4%28.7%22.5%21.1%
Skew 25d3.7%2.2%6.6%2.7%2.7%
Skew 10d7.7%-1.9%11.2%10.5%8.8%
Call IV 25d21.0%19.1%25.0%22.3%20.4%
Put IV 25d24.7%22.4%28.3%25.0%23.2%
Bid-Ask Spread %61.8717.1995.0890.7190.67
Gamma HHI0.240.130.340.230.24
Net GEX5.1M879.9K9.4M7.3M3.5M
Net DEX-107.2M-228.8M-42.9M-120.5M-72.9M
Net VEX-535.5K-609.3K-425.6K-481.9K-603.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.446.500.760.93
Total Volume5,142.1822,22412,9966,0213,836
Total OI49,513.31838,11568,01248,09043,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$124.32$115.6323.1%6.6%25.5%33.2%22.5%2.7%-0.7%7.3M-120.5M-481.9K0.7690.713,4272,59424,64723,443
2016-03-02$124.12$115.6321.4%6.1%25.3%26.4%25.7%3.0%0.7%8.1M-115.9M-497.0K1.7090.741,0031,70025,80823,934
2016-03-03$125.07$120.2621.9%6.3%24.6%28.3%24.4%4.4%2.4%6.7M-124.1M-470.4K1.2318.889981,22623,25024,001
2016-03-04$124.76$120.2621.5%6.3%23.2%26.7%23.7%4.3%2.1%6.8M-123.1M-463.5K1.2421.129961,23823,26124,027
2016-03-07$124.63$120.2622.6%6.4%23.1%30.9%23.3%4.7%2.0%7.0M-120.2M-441.1K1.1420.831,8012,05223,30024,080
2016-03-08$124.15$120.2623.2%6.3%18.5%33.3%23.5%4.4%2.2%6.7M-116.9M-437.9K0.7422.431,8571,37223,59824,831
2016-03-09$124.46$120.2622.4%6.4%17.7%30.2%23.2%4.1%1.7%7.0M-118.6M-431.8K0.6819.141,8161,23223,62224,955
2016-03-10$124.32$124.8822.1%6.3%16.5%29.1%24.1%4.3%2.6%7.0M-118.0M-425.6K6.5020.601,73411,26223,65925,001
2016-03-11$126.04$124.8822.2%6.4%14.3%29.5%20.6%3.6%2.1%6.9M-129.8M-556.7K1.8118.392,4734,48323,71035,107
2016-03-14$126.19$124.8822.8%6.5%12.3%31.7%23.6%3.4%1.8%7.8M-133.0M-552.2K2.5017.191,3563,39325,11235,176
2016-03-15$123.87$124.8825.1%7.2%14.2%40.4%27.7%3.3%0.6%5.8M-94.3M-605.2K4.7580.341,5807,50025,22336,054
2016-03-16$125.76$124.8824.2%6.9%14.7%37.0%24.1%3.7%0.8%6.5M-120.9M-609.3K1.6981.692,3904,04525,55139,740
2016-03-17$129.35$124.8822.5%6.4%16.7%30.4%26.0%4.0%1.5%9.4M-188.5M-537.5K0.9485.024,2824,03826,36639,752
2016-03-18$131.01$124.8820.8%6.0%17.0%23.8%20.4%3.3%2.7%920.0K-228.8M-580.3K0.4475.935,2202,30027,93740,075
2016-03-21$130.10$124.8821.2%6.1%17.2%25.5%22.6%2.9%3.7%879.9K-42.9M-601.1K1.6479.791,0931,78711,74826,367
2016-03-22$132.28$124.8820.0%5.7%16.8%20.8%22.5%3.8%3.7%1.7M-59.2M-565.0K1.4784.431,2261,79911,81326,512
2016-03-23$131.72$124.8821.7%6.2%17.0%27.6%21.6%3.9%2.8%1.5M-55.0M-584.0K1.5885.601,0621,67312,21926,682
2016-03-24$131.12$124.8821.8%6.2%17.1%27.6%21.0%2.8%3.4%1.5M-53.1M-577.2K1.1088.521,5651,71612,23526,750
2016-03-28$132.35$124.8824.2%6.9%17.3%37.0%22.7%3.5%2.4%2.9M-65.5M-579.6K3.6385.571,2224,43213,39126,828
2016-03-29$134.07$124.8823.1%6.6%17.1%32.8%28.7%6.6%1.0%3.0M-77.9M-581.3K2.1895.082,0294,42313,51029,633
2016-03-30$134.40$124.8821.8%6.3%16.8%27.8%23.0%2.2%2.6%3.3M-80.0M-597.9K2.9888.561,4804,41713,41629,693
2016-03-31$133.43$124.8821.2%6.1%17.2%25.5%21.1%2.7%3.0%3.5M-72.9M-603.7K0.9390.671,9851,85113,54029,736